Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0747 |
| Annualized Std Dev | 0.1442 |
| Annualized Sharpe (Rf=0%) | 0.5181 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4309.0000 |
| NAs | 1.0000 |
| Minimum | -0.0934 |
| Quartile 1 | -0.0037 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0047 |
| Maximum | 0.0904 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0091 |
| Skewness | -0.0586 |
| Kurtosis | 13.8900 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0066 |
| Gain Deviation | 0.0065 |
| Loss Deviation | 0.0071 |
| Downside Deviation (MAR=210%) | 0.0115 |
| Downside Deviation (Rf=0%) | 0.0064 |
| Downside Deviation (0%) | 0.0064 |
| Maximum Drawdown | 0.3660 |
| Historical VaR (95%) | -0.0130 |
| Historical ES (95%) | -0.0217 |
| Modified VaR (95%) | -0.0122 |
| Modified ES (95%) | -0.0122 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-11 | 2009-03-09 | 2010-11-04 | -0.3660 | 732 | 312 | 420 |
| 2020-02-18 | 2020-03-23 | 2020-08-18 | -0.2562 | 128 | 25 | 103 |
| 2018-01-29 | 2018-12-24 | 2019-06-13 | -0.1662 | 346 | 229 | 117 |
| 2011-05-20 | 2011-08-10 | 2011-12-20 | -0.1117 | 149 | 57 | 92 |
| 2015-08-06 | 2015-08-25 | 2016-03-09 | -0.1001 | 149 | 14 | 135 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | 0.8 | -0.1 | 0.5 | -0.3 | -0.5 | -0.2 | 0.2 | 1 | -0.4 | 0.7 | -0.3 | 1.4 |
| 2005 | 0.2 | 0.9 | -0.8 | 0.5 | 0.3 | 0.4 | -0.5 | 0.4 | 0.6 | -0.6 | 0.9 | -0.7 | 1.6 |
| 2006 | 0.4 | 0.3 | -0.3 | 0.1 | 0.6 | -0.4 | -0.6 | 0.5 | -0.4 | -0.8 | -0.4 | -0.5 | -1.7 |
| 2007 | 0.7 | 0 | 0.2 | -0.3 | 0.8 | -0.1 | 1 | 0.4 | 0 | -2.1 | 0.1 | -1.1 | -0.5 |
| 2008 | 1.4 | -1.7 | 1.7 | 0.8 | -0.1 | 0.4 | 0.1 | -1.2 | 0.9 | 1.4 | -5.7 | 1.4 | -0.8 |
| 2009 | -3.2 | 0.1 | 2.3 | 0.3 | 2.2 | 1.6 | -0.1 | -1 | -1 | -1.8 | 1.3 | -1.2 | -0.6 |
| 2010 | 0.8 | 0.7 | 0.5 | -0.6 | -0.2 | 0.1 | 0.4 | 1.8 | 0.2 | -0.1 | 1.5 | 0 | 5.1 |
| 2011 | 0.7 | -0.6 | 0.6 | 0.3 | -1.1 | 0.7 | -0.3 | -0.4 | -1 | -1.9 | -0.2 | -0.6 | -3.7 |
| 2012 | 0.8 | -0.1 | 0.5 | 0.1 | -1.8 | 1.8 | -0.8 | 0.2 | 0.7 | 0.2 | 0.3 | 1.1 | 2.9 |
| 2013 | 0.8 | 0.3 | -0.1 | -0.3 | -1.8 | 0.7 | 0.9 | 0.2 | 0.6 | 0.3 | -0.2 | -0.1 | 1.4 |
| 2014 | -0.4 | 0.6 | -0.1 | -0.1 | 0.7 | 0.4 | 0.8 | 0.2 | -0.6 | 0.7 | -0.5 | -1 | 0.6 |
| 2015 | -1.9 | 0.3 | 0 | 0.9 | 0 | 1.2 | 0.1 | -2.1 | 0 | -0.9 | 0.6 | -1.1 | -3 |
| 2016 | 0.2 | 0.9 | 1.2 | -0.1 | 0.8 | -0.3 | 0.2 | -0.1 | 1 | -0.4 | -0.7 | -0.4 | 2.2 |
| 2017 | -0.6 | 0.5 | -0.2 | -0.5 | 0.9 | 0.3 | -0.1 | 0.4 | -0.1 | 0.3 | 0.2 | -0.1 | 0.8 |
| 2018 | -0.4 | -0.2 | 0.8 | -0.8 | 0 | -0.1 | -1 | 0.1 | -0.2 | 0.5 | 0.8 | 0.5 | -0.1 |
| 2019 | -0.3 | -0.1 | -0.2 | -1.1 | -1.4 | 0.5 | -0.5 | -0.1 | -0.4 | 0.1 | 0 | 0 | -3.5 |
| 2020 | -1.2 | -1.9 | -2.2 | -1.2 | 0.6 | 0 | -0.1 | 0.1 | 0.6 | -0.4 | 0.8 | 0.6 | -4.1 |
| 2021 | 0.1 | 1 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-01-30 50.6 SPY 113. 0. -0.0083 0.0207 0.0789 0.344 -0.168 -0.0998 <NA> NA NA NA
2 2004-02-02 50.7 SPY 114. 4.30e-3 -0.0164 0.0242 0.0813 0.324 -0.162 -0.0853 <NA> NA NA NA
3 2004-02-04 51.4 SPY 113. -8.20e-3 -0.0046 0.0036 0.0647 0.322 -0.174 -0.116 <NA> NA NA NA
4 2004-02-05 51.5 SPY 113. 2.90e-3 -0.0026 0.0056 0.0702 0.334 -0.179 -0.108 <NA> NA NA NA
5 2004-02-06 51.9 SPY 114. 1.12e-2 0.0085 0.0135 0.0813 0.355 -0.165 -0.0926 <NA> NA NA NA
6 2004-02-09 52.1 SPY 114. 3.00e-4 0.0045 0.0097 0.0759 0.372 -0.17 -0.102 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
